Category Archives: uncertainty quantification

I just gave a lecture to our UQ class on response surfaces, and I went over the attached slide containing a “decision tree” for choosing a response surface. The purpose for the class was to get the students asking questions about their “uncertain quantity of interest” before blindly applying a method — since I don’t expect them to know the details of all the methods, yet.

I might develop this further with more branches and hyperlinks to relevant research papers. Feel free to leave any comments!

I finished a set of background notes for the uncertainty quantification class (ME470) I’m teaching this quarter with Gianluca Iaccarino. A link to the notes is below. Let me know if you think I left anything out (or if you find any typos)!

I’ve heard a few statisticians complain about the rise in popularity (and funding) of research in uncertainty quantification, claiming that it’s all just a rehashing of statistics. And I think they have a point, for the most part. At the very least, those of us working in UQ should be aware of the excellent resources from the statistics literature that address UQ-like problems.

‘Computer Experiments’ by Koehler and Owen (Chapter 9 from ‘Handbook of statistics 13,’ 1996) is one of my personal favorites. It discusses Kriging and least squares surrogate models for expensive computer simulations and a variety of experimental designs. I consider it a must-read for people interested in UQ.

I gave a talk at the INFORMS ICS conference last week at the beautiful Eldorado hotel in Santa Fe. I gave a broad overview and introduction to uncertainty quantification — with a bit about model reduction. This was part of a session organized by Brian Adams and Laura Swiler from Sandia Labs. Here’s a link to my slides.

The common element here is the polynomial approximation; I have an unknown function – presumably sufficiently smooth – that I want to approximate with a polynomial of the input variables. How do I arrange the monomial terms into a set of basis polynomials? And once I decide on that, how do I compute coefficients of a series in that bases such that the resulting polynomial is close to the unknown function? Often there is a system of equations that defines the function implicitly, like a partial differential equation with operators that depend on input parameters representing uncertainty. In such cases, the system residual can be used to build a minimization problem to compute the coefficients — and this gives us the Galerkin approximation. I’ll leave the Galerkin system for another post and instead focus on the case where I have a function that I can evaluate directly given values for the inputs — the so-called non-intrusive variety.

I’m going to discuss these polynomial approximation ideas using terms more familiar to folks in signal processing, like discrete Fourier transform. This is certainly not the first time this has been done with polynomial approximation. In fact, the top-notch team on Nick Trefethen‘s Chebfun project has been analyzing and implementing polynomial approximation in this manner since it got started. They take advantage of the connections between Chebyshev polynomials/points and cosine transforms to implement fast transform algorithms.

In contrast, I’ll discuss similar transforms using Gaussian quadrature points, since these are more common in UQ due to their connections with density functions of random variables. Unfortunately, we won’t get any fast algorithms out of this approach; all of the transform algorithms will be “order en squared” instead of “order en log en.” This isn’t typically a problem in UQ applications where we assume that the function evaluations are significantly more costly than any transform.

Okay, why do I keep mentioning transforms? Let’s get to that.

Assume I have a function that maps the interval into the reals. Equip the input space with a uniform measure of , which seasoned UQ-ers will recognize as the case corresponding to a uniform random variable . I want to approximate by a polynomial in . My approximation model is

,

where is the degree polynomial from the set of orthonormal Legendre polynomials. Note that I wrote this in linear algebra notation with being an -vector of coefficients and being a vector containing the polynomial bases. This notation will really come in handy.

If we set the coefficients to be the Fourier (or spectral) coefficients,

,

then the resulting polynomial would be the best th degree polynomial approximation to in the mean-squared sense. But we can’t compute integrals with in the integrand if we don’t know ! So we instead approximate them with a Gaussian quadrature rule. Let and be the points and weights, respectively, of the -point Gauss-Legendre quadrature rule. We’ll come back to why we use a rule with the same number of points as terms in the expansion.

To approximate the Fourier coefficients, we compute

,

which are the pseudospectral coefficients. (Get it?) We can write all of these sums — one for each — conveniently using linear algebra notation. Let be the vector of all the , i.e., all the evaluations of at the quadrature points. Define the matrix with elements

.

Then define a diagonal matrix with . The squaring will make sense in a moment. Now we can write the computation of the pseudospectral coefficients as

,

and I’ll let you verify that if it’s not obvious. The next thing to note is that the matrix is orthogonal, that is . There are two ways to verify this: One is to know — like I do — that is the matrix of normalized eigenvectors of the symmetric, tridiagonal Jacobi matrix of recurrence coefficients for the Legendre polynomials. The other way is to use the polynomial exactness of the Gaussian quadrature rule for one side and the Christoffel-Darboux formula for the other side. I’ll let the interested reader pursue this further.

With , we can write

,

which is the discrete Fourier transform, and

,

which is the inverse discrete Fourier transform. Voila! In signal processing parlance, these operations transform the function between physical space (the Gauss points) and coefficient space (the pseudospectral coefficients).

This is the primary reason I keep the number of points in the quadrature rule the same as the number of terms in the polynomial expansion. It is not strictly necessary in other derivations. (At some point I’ll post about least-squares methods.) But you can see from this perspective that you lose the forward/inverse discrete transform relationship without it.

If you look carefully at the inverse discrete transform, you see that it’s just evaluating the expansion at the quadrature points and getting back the true function at the quadrature points. If you remember that the polynomial interpolant of degree on a set of distinct points is unique, then you’ve just proven that the Lagrange interpolant at the Gauss quadrature points — which in UQ we call stochastic collocation — is equivalent to the pseudospectral approximation. Cool, huh?

All of this works for univariate functions, and it extends to multi-variate functions with tensor product constructions; the multivariate transform operators become Kronecker products of the 1d transform operators. However, if you give up tensor product construction, then it gets really messy really quickly. We’ll leave that for the subject of another post.